A nonparametric regression cross spectrum for multivariate time series
| Type of Publication: | Working Paper/Technical Report |
| URI (citable link): | http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-116724 |
| Author: | Beran, Jan; Heiler, Mark A. |
| Year of publication: | 2008 |
| Series: | CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie ; 2008/01 |
| Summary: |
We consider dependence structures in multivariate time series that are characterized by deterministic trends. Results from spectral analysis for stationary processes are extended to deterministic trend functions. A regression cross covariance and spectrum are defined. Estimation of these quantities is based on wavelet thresholding. The method is illustrated by a simulated example and a three-dimensional time series consisting of ECG, blood pressure and cardiac stroke volume measurements.
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| Subject (DDC): | 330 Economics |
| Keywords: | Nonparametric trend estimation, cross spectrum, wavelets, regression spectrum, phase, threshold estimator |
| Comment on publication: | Also publ. in: Journal of Multivariate Analysis ; 99 (2008), 4. - S. 684-714 |
| Link to License: | Attribution-NonCommercial-NoDerivs 2.0 Generic |
| Bibliography of Konstanz: | Yes |
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BERAN, Jan, Mark A. HEILER, 2008. A nonparametric regression cross spectrum for multivariate time series
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